Index Update 14.02.2016

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MOMENTUM

We run our proprietary momentum scoring algorithm on indices just like we do on stocks. You can use the momentum scores of sub-indices to get a sense for which sectors have the wind on their backs and those that are facing headwinds.

Traders can pick their longs in sectors with high short-term momentum and their shorts in sectors with low momentum. Investors can use the longer lookback scores to position themselves using our re-factored index Themes.

You can see how the momentum algorithm has performed on individual stocks here.

Here are the best and the worst sub-indices:

index momentum best 365 2016-02-12 png

index momentum best 50 2016-02-12 png

index momentum worst 365 2016-02-12 png

index momentum worst 50 2016-02-12 png

Relative Strength Spread

NIFTY_500 relative-spread-index 50 2016-02-12 png

Refactored Index Performance

50-day performance, from December 03, 2015 through February 12, 2016:

Equally Weighted Market Cap. Weighted
GROWSECT 15 (EQUAL) -6.95% IT (CAP) -3.90%
QUALITY 30 (EQUAL) -9.73% PHARMA (CAP) -4.29%
FMCG (EQUAL) -10.08% GROWSECT 15 (CAP) -4.52%
CONSUMPTION (EQUAL) -11.07% QUALITY 30 (CAP) -7.22%
AUTO (EQUAL) -11.17% ENERGY (CAP) -8.90%
PHARMA (EQUAL) -11.26% FMCG (CAP) -10.06%
ENERGY (EQUAL) -11.53% COMMODITIES (CAP) -10.30%
MNC (EQUAL) -12.24% CONSUMPTION (CAP) -10.41%
COMMODITIES (EQUAL) -12.32% SERV SECTOR (CAP) -11.79%
IT (EQUAL) -13.54% VALUE 20 (CAP) -12.03%
MEDIA (EQUAL) -15.13% MEDIA (CAP) -12.18%
VALUE 20 (EQUAL) -15.16% MNC (CAP) -12.86%
SERV SECTOR (EQUAL) -16.18% PSE (CAP) -14.25%
PSE (EQUAL) -17.26% METAL (CAP) -14.56%
CPSE (EQUAL) -19.21% AUTO (CAP) -15.14%
FIN SERVICE (EQUAL) -20.29% CPSE (CAP) -15.57%
LIQ 15 (EQUAL) -20.52% FIN SERVICE (CAP) -16.78%
INFRA (EQUAL) -21.81% INFRA (CAP) -16.79%
BANK (EQUAL) -22.99% BANK (CAP) -18.51%
METAL (EQUAL) -23.62% LIQ 15 (CAP) -20.52%
REALTY (EQUAL) -25.92% MIDCAP LIQUID 15 (CAP) -23.99%
MIDCAP LIQUID 15 (EQUAL) -25.97% REALTY (CAP) -26.29%
PSU BANK (EQUAL) -38.49% PSU BANK (CAP) -36.73%

Trend Model Summary

Index Signal % From Peak Day of Peak
NIFTY AUTO LONG
22.25
2015-Jan-27
NIFTY BANK LONG
32.03
2015-Jan-27
NIFTY COMMODITIES LONG
42.67
2008-Jan-04
NIFTY CONSUMPTION LONG
14.40
2015-Aug-05
NIFTY ENERGY LONG
37.45
2008-Jan-14
NIFTY FIN SERVICE LONG
28.84
2015-Jan-28
NIFTY FMCG LONG
17.79
2015-Feb-25
NIFTY INFRA LONG
63.65
2008-Jan-09
NIFTY IT LONG
89.19
2000-Feb-21
NIFTY MEDIA LONG
26.02
2008-Jan-04
NIFTY METAL LONG
72.78
2008-Jan-04
NIFTY MNC LONG
22.21
2015-Aug-10
NIFTY PHARMA SHORT
19.88
2015-Apr-08
NIFTY PSE LONG
43.76
2008-Jan-04
NIFTY PSU BANK LONG
63.39
2010-Nov-05
NIFTY REALTY LONG
93.12
2008-Jan-14
NIFTY SERV SECTOR LONG
23.80
2015-Mar-03
FMCG/Consumption provided some “flight-to-safety” benefits. But the overall 50-day performance of different sub-sectors have been pretty grim.

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